Similar Search Results

Oil volatility uncertainty : impact on fundamental macroeconomics and the stock index

Aladwani, Jassim - In: Economies : open access journal 12 (2024) 6, pp. 1-23

This study utilized both single-regime GARCH and double-regime GARCH models to investigate oil price volatility … volatility on these factors was examined. The empirical results confirmed the presence of the leverage effect and identified … multiple volatility switches associated with remarkable events like the GFC, the European debt crisis, the COVID-19 pandemic …

Persistent link: https://www.econbiz.de/10014636061

Monopoly Power in the Oil Market and the Macroeconomy

Branger, Nicole; Flacke, René Marian; Gräber, Nikolai - 2019

This paper studies macroeconomic consequences of oil price shocks caused by innovations in the monopoly power in the oil market. Monopoly power is interpreted as oil producers' ability to charge a markup over marginal costs. We propose a novel way to identify markup shocks based on meetings of...

Persistent link: https://www.econbiz.de/10014118702

Refining the workhorse oil market model

Zhou, Xiaoqing - 2019

The Kilian and Murphy (2014) structural vector autoregressive model has become the workhorse model for the analysis of oil markets. I explore various refinements and extensions of this model, including the effects of (1) correcting an error in the measure of global real economic activity, (2)...

Persistent link: https://www.econbiz.de/10012230336

The Asymmetric Impact of Oil Prices, Interest Rates and Oil Price Uncertainty on Unemployment in US

Kocaarslan, Barış - 2019

significant. Last but not least, we find that option-implied oil price volatility, as a measure of oil price uncertainty …, outperforms the conditional volatility of crude oil prices in predicting unemployment. This study provides valuable implications …

Persistent link: https://www.econbiz.de/10012860192

Financial ambiguity and oil prices

Ayoub, Mahmoud; Qadan, Mahmoud - In: Financial innovation : FIN 10 (2024), pp. 1-23

and empirically examine the effect of shocks to it on the price and volatility of crude oil. We provide evidence that … ambiguity carries important information about future oil returns and volatility perceived by investors. We validate these …

Persistent link: https://www.econbiz.de/10015361650

Oil Prices in a Real-Business-Cycle Model with Precautionary Demand for Oil

Olovsson, Conny - 2017

/smoothing demand, but supply shocks contribute substantially to both the oil-price volatility and the magnitude of oil shocks mainly …

Persistent link: https://www.econbiz.de/10012963406

Oil Price, Overleveraging and Shakeout in the Shale Energy Sector -- Game Changers in the Oil Industry

Gevorkyan, Arkady - 2015

In recent years, we have observed significant growth in unconventional energy, shale energy, in particular in the United States. There was a boom, followed by a bust. The plunge in oil price triggered a prolonged bust in the energy sector. Which firms will benefit, and which will be squeezed out...

Persistent link: https://www.econbiz.de/10013013795

The Econometrics of Oil Market VAR Models

Kilian, Lutz - 2020

Oil market VAR models have become the standard tool for understanding the evolution of the real price of oil and its impact in the macro economy. As this literature has expanded at a rapid pace, it has become increasingly difficult for mainstream economists to understand the differences between...

Persistent link: https://www.econbiz.de/10012839764

The political costs of oil price shocks

Arezki, Rabah; Djankov, Simeon; Nguyen, Ha; Yotzov, Ivan - 2022

We explore the effect of oil import price shocks on political outcomes using a worldwide dataset on elections of chief executives. Oil import price shocks cause a reduction in the odds of reelection of incumbents, an increase in media chatter about fuel prices, and an increase in non-violent...

Persistent link: https://www.econbiz.de/10013205030

Oil prices in a real-business-cycle model with precautionary demand for oil

Olovsson, Conny - 2016

/smoothing demand, but supply shocks contribute substantially to both the oil-price volatility and the magnitude of oil shocks mainly …

Persistent link: https://www.econbiz.de/10011568489